Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
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Cites work
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 686769 (Why is no real title available?)
- An identity for the Wishart distribution with applications
- An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
- Estimation of a covariance matrix under Stein's loss
- Estimation of a covariance matrix using the reference prior
- Estimation with quadratic loss.
- Explicit bounds and heuristics on class numbers in hyperelliptic function fields
- Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
- Minimax estimators in the normal MANOVA model
- Reference prior bayes estimator for bivariate normal covariance matrix with risk comparison
- Robust shrinkage estimators of the location parameter for elliptically symmetric distributions
- Stein estimation under elliptical distributions
Cited in
(31)- Invariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions
- Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions
- Multivariate elliptically contoured autoregressive process
- The sample covariance is not efficient for elliptical distributions
- The Stein effect for Fréchet means
- Estimation of a high-dimensional covariance matrix with the Stein loss
- Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure
- Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
- Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
- Estimation of a covariance matrix with location: Asymptotic formulas and optimal B-robust estimators
- Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
- Covariance matrix estimation under data-based loss
- An identity for multivariate elliptically contoured matrix distribution
- Robust empirical Bayes estimation of the elliptically countoured covariance matrix
- Alternative estimators of the common regression matrix in two GMANOVA models under weighted quadratic losses
- Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
- Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution respect to quadratic loss function
- Estimation robuste pour des lois à symétrie elliptique à matrice de covariance inconnue
- Estimation of the inverse scatter matrix of an elliptically symmetric distribution
- An asymptotic expansion of Wishart distribution when the population eigenvalues are infinitely dispersed
- Intrinsic covariance matrix estimation for multivariate elliptical distributions
- Robust estimators for nondecomposable elliptical graphical models
- Estimation of variance and covariance components in elliptically contoured distributions
- Stein-Haff identity for the exponential family
- On completeness of the general linear model with spherically symmetric errors
- On improved loss estimation for shrinkage estimators
- Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions
- On the non existence of unbiased estimators of risk for spherically symmetric distributions
- Improved robust performance bounds in covariance majorant analysis
- Improving on the sample covariance matrix for a complex elliptically contoured distribution
- Estimation of a scale parameter in mixture models with unknown location
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